EDH 98.125/98.25/98.375 put fly + EDM0 98.125/98.25/98.375 put fly + EDU0 98.125/98.25/98.375 put fly with 131/222/313 days to expiry (Buy)
This trade traded yesterday at 7/8 for the package in more than 50K (>600k legs). Traded with 8.9 ticks of intrinsic, EDH & EDM Flys in the money. Looks an interesting trade (nice broker trade) on a number of levels, it’s not cheap but if you see the chance of strike pinning at 98.25 next year, this might be worth a look.
We can also Backtest this package, to see what P/L it’s delivered. For this we build a similar time to expiry and moneyness fly pack on historical dates and record it’s P&L at expiry. From the chart you can see the best time to have traded a fly pack like this would have been the 12th August 2016, when it would have returned 33.6 ticks – pretty good when the max return is 37.5. Over the 10 years the average return has been 0.0435. This is a plot of over 2000 scenarios (10years x biz days).
Trade booked to track
